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14-028/III - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

  • Authors
    David Ardia, Laval University, Quebec, Canada; Lukasz Gatarek, Erasmus University Rotterdam; Lennart F. Hoogerheide, VU University Amsterdam
  • Publication date
    February 28, 2014
  • Keywords
    Bootstrap test, GARCH, marginal models, multiple time series, Value-at-Risk
  • JEL
    C1, C12, C22, C44
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